Correlation measures

Electronic Communications in Probability

Volumn 4, Issue , 1999, Pages 77-85

  Lewis, Thomas M ^a   Pritchard, Geoffrey ^b  

^a FURMAN UNIVERSITY   (United States)

^b UNIVERSITY OF AUCKLAND   (New Zealand)

Author keywords

Correlation measures; Gaussian correlation inequality

Indexed keywords

EID: 0346744583     PISSN: None     EISSN: 1083589X     Source Type: Journal    
DOI: 10.1214/ECP.v4-1008     Document Type: Article

References (8)

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2. S. Das Gupta, M. L. Eaton, I. Olkin, M. Perlman, L. J. Savage, and M. Sobel, Inequalities on the probability content of convex regions for elliptically contoured distributions, Proceedings of the Sixth Berkeley Symposium on Mathematical Statistics and Probability (Univ. California, Berkeley, Calif., 1970/1971), Vol. 2: Probability theory, pp. 241-265. Univ. California Press, Berkeley, Calif., 1972.
3. H. Kesten and F. Spitzer, A limit theorem related to a new class of self-similar processes, Z. Wahrsch. Verw. Gebiete 50 (1979), no. 1, 5-25.
4. C. G. Khatri, On certain inequalities for normal distributions and their applications to simultaneous confidence bounds, Ann. Math. Statist. 38 (1967), 1853-1867.
5. Loren D. Pitt, A Gaussian correlation inequality for symmetric convex sets, Ann. Probab. 5 (1977), no. 3, 470-474.
6. G. Schechtman, Th. Schlumprecht, and J. Zinn, On the Gaussian measure of the intersection, Ann. Probab. 26 (1998), no. 1, 346-357.
7. Zbynek Sidak, Rectangular confidence regions for the means of multivariate normal distributions, J. Amer. Statist. Assoc. 62 (1967), 626-633.
8. Zbynek Sidak, On multivariate normal probabilities of rectangles: their dependence on correlations, Ann. Math. Statist. 39 (1968), 1425-1434